Ceres Orion (OFFLP) 10-Q 2009 Q2 Quarterly report

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended June 30, 2009

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          

Commission File Number0-50271

CITIGROUP ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York	22-3644546
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Citigroup Managed Futures LLC
55 East 59^th Street – 10th Floor
New York, New York 10022

(Address of principal executive offices) (Zip Code)

(212) 559-2011

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X  No  

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes    No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” inRule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer    Accelerated filer    Non-accelerated filer X Smaller reporting company   

Indicate by check mark whether the registrant is a shell company (as defined inRule 12b-2 of the Exchange Act).

Yes    No X

As of July 31, 2009, 254,252.1340 Limited Partnership Redeemable Units were outstanding.

CITIGROUP ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

			Page
			Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Statements of Financial Condition at June 30, 2009 and December 31, 2008 (unaudited)	3
		Schedules of Investments at June 30, 2009 and December 31, 2008 (unaudited)	4 – 5
		Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2009 and 2008 (unaudited)	6
		Notes to Financial Statements (unaudited)	7 – 15
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	16 – 19
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	20 – 21
	Item 4T.	Controls and Procedures	22
PART II - Other Information			23 – 27
Exhibits
EX-10 Joinder Agreement
EX-31.1 Certification
EX-31.2 Certification
EX-32.1 Certification
EX-32.2 Certification

2

PART I

Item 1. Financial Statements

Citigroup Orion Futures Fund L.P.
Statements of Financial Condition
(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Investment in Partnerships, at fair value	$	623,926,693	$	610,171,060
Equity in trading account:
Cash		64,165,934		70,898,968
Cash margin		9,122,470		2,972,978
Net unrealized appreciation on open futures contracts		476,593		1,526,317
Net unrealized appreciation on open forward contracts		3,104,624		144,156
Options owned, at fair value (cost $111,000 and $0 at June 30, 2009 and December 31, 2009, respectively)		38,500		—
		700,834,814		685,713,479
Interest receivable		6,238		1,397
Total assets	$	700,841,052	$	685,714,876
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	3,102,772	$	—
Accrued expenses:
Brokerage commissions		1,785,642		1,380,827
Management fees		1,072,048		1,053,913
Administrative fees		289,957		285,090
Incentive fees		—		10,922,554
Other		55,233		117,207
Redemptions payable		9,875,366		23,068,432
Total liabilities		16,181,018		36,828,023
Partners’ Capital:
General Partner, 1,281.5595 Unit equivalents outstanding at June 30, 2009 and December 31, 2008, respectively		3,572,206		3,635,695
Limited Partners, 244,346.4067 and 227,446.9882 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		681,087,828		645,251,158
Total partners’ capital		684,660,034		648,886,853
Total liabilities and partners’ capital	$	700,841,052	$	685,714,876

See accompanying notes to financial statements.

3

Citigroup Orion Futures Fund L.P.
Schedule of Investments
June 30, 2009
(Unaudited)

	Number of				% of Partners’
	contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies	267	$	(56,766	)		(0.01	)%
Energy	599		(493,646	)		(0.07	)
Grains	10		(13,125	)		(0.00	)*
Interest Rates Non-U.S.	579		424,597			0.06
Livestock	109		111,040			0.02
Softs	208		99,389			0.01
Total futures contracts purchased			71,489			0.01
Futures Contracts Sold
Currencies	178		(180,225	)		(0.03	)
Energy	104		130,130			0.02
Grains	544		519,013			0.08
Interest Rates U.S.	178		(77,954	)		(0.01	)
Softs	33		14,140			0.00	*
Total futures contracts sold			405,104			0.06
Unrealized Appreciation on Open Forward Contracts
Metals			3,104,624			0.45
Total unrealized appreciation on open forward contracts			3,104,624			0.45
Unrealized Depreciation on Open Forward Contracts
Metals			(3,102,772	)		(0.45	)
Total unrealized depreciation on open forward contracts			(3,102,772	)		(0.45	)
Options Owned
Energy	50		38,500			0.01
Total options owned			38,500			0.01
Investment in Partnerships
Citigroup AAA Master Fund LLC			275,655,484			40.26
CMF Willowbridge Argo Master Fund LP			137,404,085			20.07
CMF Winton Master LP			210,867,124			30.80
Total investment in Partnerships			623,926,693			91.13
Total fair value		$	624,443,638			91.21	%

* Due to rounding

See accompanying notes to financial statements.

4

Citigroup Orion Futures Fund L.P.
Schedule of Investments
December 31, 2008
(Unaudited)

	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		114	$	127,205			0.02	%
Energy		19		(55,290	)		(0.01	)
Grains		190		260,336			0.04
Metals		19		44,650			0.01
Interest Rates U.S.		190		607,238			0.09
Interest Rates Non-U.S.		161		567,778			0.09
Softs		38		90,950			0.01
Total futures contracts purchased				1,642,867			0.25
Futures Contracts Sold
Metals		38		(116,550	)		(0.02	)
Total futures contracts sold				(116,550	)		(0.02	)
Unrealized Appreciation on Open Forward Contracts
Metals		214		3,283,299			0.50
Total unrealized appreciation on open forward contracts				3,283,299			0.50
Unrealized Depreciation on Open Forward Contracts
Metals		184		(3,139,143	)		(0.48	)
Total unrealized depreciation on open forward contracts				(3,139,143	)		(0.48	)
Investment in Partnerships
Citigroup AAA Master Fund LLC				265,560,308			40.93
CMF Willowbridge Argo Master Fund LP				137,021,864			21.12
CMF Winton Master LP				207,588,888			31.99
Total investment in Partnerships				610,171,060			94.04
Total fair value			$	611,841,533			94.29	%

See accompanying notes to financial statements.

5

Citigroup Orion Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Income:
Net gains (losses) on trading of commodity interests and investment in Partnerships:
Net realized gains (losses) on closed contracts	$	3,812,584		$	2,947,829		$	(751,401	)	$	7,072,854
Net realized gains (losses) on investment in Partnerships		132,524,196			5,629,839			128,156,562			36,399,711
Change in net unrealized gains (losses) on open contracts		(1,364,015	)		1,451,020			(1,264,528	)		1,280,242
Change in net unrealized gains (losses) on investment in Partnerships		(126,151,472	)		66,990,769			(123,406,652	)		74,684,523
Gain (loss) from, trading net		8,821,293			77,019,457			2,733,981			119,437,330
Interest income		18,382			181,029			38,079			404,460
Interest income from investment in Partnerships		134,830			1,337,903			276,123			3,422,920
Total income (loss)		8,974,505			78,538,389			3,048,183			123,264,710
Expenses:
Brokerage commissions including clearing fees		1,904,782			2,077,832			3,304,933			3,762,352
Management fees		3,186,549			2,675,070			6,259,910			5,037,904
Administrative fees		862,222			734,541			1,696,445			1,387,860
Incentive fees		—			14,278,712			3,102,122			21,800,953
Other		126,022			138,454			249,952			244,455
Total expenses		6,079,575			19,904,609			14,613,362			32,233,524
Net income (loss)		2,894,930			58,633,780			(11,565,179	)		91,031,186
Additions — Limited Partner		78,779,000			49,631,000			134,732,000			94,016,000
Additions — General Partner		—			1,973,412			—			1,973,412
Redemptions — Limited Partners		(40,765,633	)		(41,450,092	)		(87,393,640	)		(60,409,183	)
Net increase (decrease) in Partners’ Capital		40,908,297			68,788,100			35,773,181			126,611,415
Partners’ Capital, beginning of period		643,751,737			518,229,071			648,886,853			460,405,756
Partners’ Capital, end of period	$	684,660,034		$	587,017,171		$	684,660,034		$	587,017,171
Net Asset Value per Unit (245,627.9662 and 233,054.3048 Units outstanding at June 30, 2009 and 2008, respectively)	$	2,787.39		$	2,518.80		$	2,787.39		$	2,518.80
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent	$	11.53		$	243.59		$	(49.54	)	$	386.21

6

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

1.   General:

Citigroup Orion Futures Fund L.P., formerly Salomon Smith Barney Orion Futures Fund L.P., (the “Partnership”) is a limited partnership which was organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts on United States exchanges and certain foreign exchanges. The sectors traded include currencies, energy, grains, metals, U.S. and non-U.S. interest rates, softs and metals. The Partnership commenced trading on June 10, 1999. The Partnership and the Funds, (as defined in Note 5 “Investment in Partnerships”) may trade futures and options contracts of any kind. In addition, the Partnership may enter into swap contracts on energy-related products. The Partnership privately and continuosly offers up to 250,000 redeemable units of Limited Partnership Interest (“Redeemable Units”) to qualified investors. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. Through July 31, 2009, the General Partner was wholly owned by Citigroup Global Markets Holdings Inc. (“CGMHI”), a wholly owned subsidiary of Citigroup Inc. (“Citigroup“). On July 31, 2009, the General Partner was transferred from CGMHI to Morgan Stanley Smith Barney Holdings LLC, as further described in Item 5, “Other Information.”

Citigroup Global Markets Inc. (“CGM”) is the commodity broker and a selling agent for the Partnership. CGM is an affiliate of the General Partner and is wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of CGMHI.

As of June 30, 2009, all trading decisions are made by Willowbridge Associates Inc., (“Willowbridge”), Winton Capital Management Limited (“Winton”) and AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (“AAA”) (each an “Advisor” and, collectively, the “Advisors”) each of which is a registered commodity trading advisor. Willowbridge trades the Argo, Vulcan, Consolidated Commodities Technical and Consolidated Commodities Fundamental trading systems for the Partnership.

The General Partner and each Limited Partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of their initial capital contribution and profits, if any, net of distributions.

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2009 and December 31, 2008, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report onForm 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2008.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through August 14, 2009, which is the date the financial statements were issued. As a result, actual results could differ from these estimates.

The Partnership has elected not to provide a Statement of Cash Flows as permitted by Statement of Financial Accounting Standards No. 102 “Statement of Cash Flows-Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Certain prior period amounts have been reclassified to conform to current period presentation.

7

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

2.   Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2009 and 2008 were as follows:

	Three Months Ended						Six Months Ended
	June 30						June 30
	2009			2008			2009			2008
Net realized and unrealized gains (losses) *	$	27.89		$	316.78		$	(3.57	)	$	505.09
Interest income		0.62			0.76			1.30			1.74
Expenses **		(16.98	)		(73.95	)		(47.27	)		(120.62	)
Increase (decrease) for the period		11.53			243.59			(49.54	)		386.21
Net Asset Value per Redeemable Unit of Limited Partnership Interest, beginning of period		2,775.86			2,275.21			2,836.93			2,132.59
Net Asset Value per Redeemable Unit of Limited Partnership Interest, end of period	$	2,787.39		$	2,518.80		$	2,787.39		$	2,518.80

*	Includes brokerage commissions.
**	Excludes brokerage commissions.

	Three Months Ended						Six Months Ended
	June 30						June 30
	2009			2008			2009			2008
Ratios to Average Net Assets:***
Net investment income (loss) before incentive fees****		(3.6	)%		(3.3	)%		(3.4	)%		(2.5	)%
Operating expense		3.7	%		4.1	%		3.5	%		4.0	%
Incentive fees		—	%		2.6			0.5	%		4.1	%
Total expenses		3.7	%		6.7	%		4.0	%		8.1	%
Total return:
Total return before incentive fees		0.4	%		13.4	%		(1.3	)%		22.5	%
Incentive fees		—	%		(2.7	)%		(0.5	)%		(4.4	)%
Total return after incentive fees		0.4	%		10.7	%		(1.8	)%		18.1	%

***  Annualized (other than incentive fees).

****  Interest income less total expenses.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

3.   Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Partners’ Capital.

8

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The customer agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under Financial Accounting Standards Board (“FASB”) Interpretation No. 39, “Offsetting of Amounts Related to Certain Contracts” (“FIN No. 39”) have been met.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the six and twelve months ended June 30, 2009 and December 31, 2008, based on a monthly calculation, were $2,083,336 and $1,886,112, respectively. The fair values of these commodity interests, including options and swaps thereon, if applicable, at June 30, 2009 and December 31, 2008, were $516,945 and $1,670,473, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair values deemed appropriate by the General Partner.

Brokerage commissions are based on the number of trades executed by the Advisors.

The Partnership adopted Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”) as of January 1, 2009 which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. FAS 161 only expands the disclosure requirements for derivatives and related hedged activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Partners’ Capital. The contracts outstanding at the period ended June 30, 2009, are indicative of volume traded during the period. See the Schedule of Investments. The following table indicates the fair values of derivative instruments of futures and forward contracts and options owned as separate assets and liabilities.

Assets	June 30, 2009			Assets	June 30, 2009			Assets	June 30, 2009
Futures Contracts				Forward Contracts				Options Owned
Currencies	$	5,534		Metals	$	3,104,624		Energy	$	38,500
Energy		342,660
Grains		568,782
Interest Rates U.S.		71,015
Interest Rates Non-U.S.		438,246
Livestock		111,040
Softs		116,754
Total unrealized appreciation on open futures contracts	$	1,654,031		Total unrealized appreciation on open forward contracts	$	3,104,624	**	Options owned	$	38,500
Liabilities	June 30, 2009			Liabilities	June 30, 2009
Futures Contracts				Forward Contracts
Currencies	$	(242,525	)	Metals	$	(3,102,772	)
Energy		(706,176	)
Grains		(62,895	)
Interest Rates U.S.		(148,969	)
Interest Rates Non-U.S.		(13,648	)
Softs		(3,225	)
Total unrealized depreciation on open futures contracts	$	(1,177,438	)	Total unrealized depreciation on open forward contracts	$	(3,102,772	)***
Net unrealized appreciation on open futures contracts	$	476,593	*					Options owned, at fair value	$	38,500	****

*	This amount is included in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
**	This amount is included in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.
***	This amount is included in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.
****	This amount is included in “Options owned, at fair value” on the Statements of Financial Condition.

9

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2009.

	Three Month Ended			Six Month Ended
	June 30, 2009			June 30, 2009
Sector	Gain (loss) from trading			Gain (loss) from trading
Currencies	$	161,082		$	(261,735	)
Energy		1,034,011			75,171
Grains		1,611,216			1,036,465
Interest rates U.S.		(67,923	)		(1,458,775	)
Interest rates Non-U.S.		(317,714	)		(884,257	)
Metals		269,310			284,815
Softs		(309,933	)		(806,383	)
Livestock		68,520			(1,230	)
	$	2,448,569		$	(2,015,929	)

4.   Fair Value Measurements:

Investments.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in futures trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gain or loss from the preceding period are reported in the Statements of Income and Expenses and Partners’ Capital.

Fair Value Measurements.  The Partnership and the Funds adopted Statement of Financial Accounting Standards No. 157,Fair Value Measurements (“SFAS 157”) as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Partnership and the Funds did not apply the deferral allowed by FASB Staff PositionNo. FAS 157-2,Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

10

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of June 30, 2009 and December 31, 2008, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	6/30/2009		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Forwards	$	1,852	$	1,852	$	—	$	—
Futures		476,593		476,593		—		—
Options owned		38,500		38,500		—		—
Investment in Partnerships		623,926,693		—		623,926,693		—
Total assets		624,443,638		516,945		623,926,693		—
Total fair value	$	624,443,638	$	516,945	$	623,926,693	$	—
			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	12/31/2008		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Forwards	$	144,156	$	144,156	$	—	$	—
Futures		1,526,317		1,526,317		—		—
Investment in Partnerships		610,171,060		—		610,171,060		—
Total assets		611,841,533		1,670,473		610,171,060		—
Total fair value	$	611,841,533	$	1,670,473	$	610,171,060	$	—

11

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

5.   Investment in Partnerships:

On September 1, 2001, the assets allocated to AAA for trading were invested in Citigroup AAA Master Fund LLC, formerly SB AAA Master Fund LLC, (“AAA Master”), a New York Limited Liability Company which was organized under the limited liability company laws of the State of New York. The Partnership purchased 5,173.4381 Units of AAA Master with cash of $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, to invest together in one trading vehicle. The General Partner is also the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 Units of Winton Master with cash of $33,594,083 and a contribution of open commodity futures and forward contracts with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 33,529.1186 units of Willowbridge Master with cash of $29,866,194 and a contribution of open commodity futures and forward contracts with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading Program to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

AAA Master’s, Willowbridge Master’s and Winton Master’s (the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A Limited Partner/non-managing member may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the Net Asset Value per Redeemable Unit of Limited Partnership

12

Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Interest as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner/managing member at least 3 days in advance of the Redemption Date. The units are classified as a liability when the Limited Partner/non-managing member elects to redeem and inform the funds.

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user,give-up, floor brokerage and National Futures Association fees are borne by the Partnership and through its investment in the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

At of June 30, 2009, the Partnership owned approximately 21.2%, 54.2% and 42.4% of AAA Master, Willowbridge Master and Winton Master, respectively. At of December 31, 2008, the Partnership owned approximately 19.8%, 46.1% and 37.9% of AAA Master, Willowbridge Master and Winton Master, respectively. It is AAA’s, Willowbridge’s and Winton’s intention to continue to invest the assets allocated to each by the Partnership in AAA Master, Willowbridge Master and Winton Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the Total Assets, Liabilities and Capital of the Funds are shown in the following tables.

	June 30, 2009
	Total Assets		Total Liabilities		Total Capital
AAA Master	$	1,818,357,143	$	521,062,446	$	1,297,294,697
Willowbridge Master		259,072,410		5,438,678		253,633,732
Winton Master		498,953,686		2,141,912		496,811,774
Total	$	2,576,383,239	$	528,643,036	$	2,047,740,203

	December 31, 2008
	Total Assets		Total Liabilities		Total Capital
AAA Master	$	1,962,984,697	$	624,353,598	$	1,338,631,099
Willowbridge Master		297,439,763		19,759		297,420,004
Winton Master		547,770,185		18,642		547,751,543
Total	$	2,808,194,645	$	624,391,999	$	2,183,802,646

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.

	June 30, 2009					For the three months ended June 30, 2009
	% of								Expenses
	Partnership’s			Fair		Income							Net			Investment	Redemption
Investment	Net Assets			Value		(Loss)			Commissions		Other		income (loss)			Objective	Permitted
AAA Master		40.26	%	$	275,655,484	$	2,441,424		$	156,330	$	37,090	$	2,248,004		Energy Markets	Monthly
Willowbridge Master		20.07	%		137,404,085		17,254,325			43,857		6,592		17,203,876		Commodity Portfolio	Monthly
Winton Master		30.80	%		210,867,124		(13,188,195	)		36,200		3,945		(13,228,340	)	Commodity Portfolio	Monthly
Total				$	623,926,693	$	6,507,554		$	236,387	$	47,627	$	6,223,540

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Citigroup Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

	June 30, 2009								For the six months ended June 30, 2009
	% of								Expenses
	Partnership’s			Fair		Income							Net
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (loss)
AAA Master		40.26	%	$	275,655,484	$	20,454,616		$	292,049	$	71,980	$	20,090,587
Willowbridge Master		20.07	%		137,404,085		(342,072	)		72,403		10,751		(425,226	)
Winton Master		30.80	%		210,867,124		(15,086,511	)		62,420		7,488		(15,156,419	)
Total				$	623,926,693	$	5,026,033		$	426,872	$	90,219	$	4,508,942

	December 31, 2008							For the three months ended June 30, 2008
	% of							Expenses
	Partnership’s			Fair		Income						Net
Investment	Net Assets			Value		(Loss)		Commissions		Other		Income (loss)
AAA Master		40.93	%	$	265,560,308	$	30,959,842	$	153,747	$	40,401	$	30,765,694
Willowbridge Master		21.12	%		137,021,864		28,060,491		40,337		4,408		28,015,746
Winton Master		31.99	%		207,588,888		14,938,178		44,384		3,690		14,890,104
Total				$	610,171,060	$	73,958,511	$	238,468	$	48,499	$	73,671,544

	December 31, 2008							For the six months ended June 30, 2008
	% of							Expenses
	Partnership’s			Fair		Income						Net
Investment	Net Assets			Value		(Loss)		Commissions		Other		Income (loss)
AAA Master		40.93	%	$	265,560,308	$	38,162,939	$	280,344	$	63,878	$	37,818,717
Willowbridge Master		21.12	%		137,021,864		36,579,593		90,989		8,134		36,480,470
Winton Master		31.99	%		207,588,888		39,764,622		116,225		6,735		39,641,662
Total				$	610,171,060	$	114,507,154	$	487,558	$	78,747	$	113,940,849

6.   Financial Instrument Risks:

In the normal course of its business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances , or to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

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Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s and the Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership’s and the Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership and the Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership and the Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s and the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s and the Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership/Funds pay or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees as described in FASB Interpretation No. 45, “Guarantor’s Accounting and Disclosure Requirements for Guarantees” (“FIN 45”).

The General Partner monitors and controls the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds are subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ businesses, these instruments may not be held to maturity.

15

Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its (i) investment in Partnerships (ii) equity in futures trading account consisting of cash, net unrealized appreciation on open futures contracts, and (iii) interest receivables. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such losses occurred in the second quarter of 2009.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on futures trading and by expenses, interest income, additions and redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2009, Partnership capital increased 5.5% from $648,886,853 to $684,660,034. This increase was attributable to the addition of 48,036.7740 Redeemable units of Limited Partnership Interests totalling $134,732,000, which was partially offset by a net loss from operations of $11,565,179, coupled with the redemptions of 31,137.3555 Redeemable Units of Limited Partnership Interest totaling $87,393,640. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

Use of Estimates.  The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Statement of Cash Flows.  The Partnership has elected not to provide a Statement of Cash Flows as permitted FAS 102.

Investments.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in futures trading account on the Statement of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Partners’ Capital.

Fair Value Measurements.  The Partnership and the Funds (as defined in note 5 “Investment in Partnerships”) adopted SFAS 157 as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership and the Funds did not apply the deferral allowed by FASB Staff PositionNo. FAS 157-2,Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

     The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of June 30, 2009, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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Futures Contracts.  The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Partners’ Capital.

Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Income and Expenses and Partners’ Capital.

The Partnership does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Partners’ Capital.

London Metals Exchange Forward Contracts.  Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of Aluminum, Copper, Lead, Nickel, Tin or Zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with short positions. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Partners’ Capital.

Options.  The Partnership and Funds may purchase and write (sell) both exchange listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership and Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership and Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Partners’ Capital.

Brokerage Commissions.  Commission charges to open and close futures and exchange traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

Income Taxes.  Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership’s income and expenses.

17

In 2007, the Partnership adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has continued to evaluate the application of FIN 48 and has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the six months ended June 30, 2009 and that no provision for income tax is required in the Partnership’s financial statements.

The following is the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States – 2005.

Recent Accounting Pronouncements. In April 2009, the Partnership adopted FSP FAS 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP”). The FSP reaffirms that fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The FSP also reaffirms the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The application of the FSP is required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, that there has not been a decrease in the volume and level of activity in the Partnerships level 2 assets and liabilities. The adoption of the FSP had no effect on the Partnership’s Financial Statements.

Subsequent Events. In 2009, the Partnership adopted FASB Statement of Accounting Standards No. 165, “Subsequent Events” (“SFAS 165”). The objective of SFAS 165 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.

Results of Operations

During the Partnership’s second quarter of 2009 the Net Asset Value per Redeemable Unit increased 0.4% from $2,775.86 to $2,787.39 as compared to an increase of 10.7% in the second quarter of 2008. The Partnership experienced a net trading gain (comprised of net realized gains (losses) on closed positions, change in net unrealized gains (losses) on open positions and investment in Partnerships) before brokerage commissions and related fees in the second quarter of 2009 of $8,821,293. Gains were primarily attributable to the Partnership’s and the Fund’s trading of currencies, energy, grains, and livestock and were partially offset by losses in U.S. and non-U.S. interest rates, metals, indices, lumber and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the second quarter of 2008 of $77,019,457. Gains were primarily attributable to the Partnership’s and the Fund’s trading of energy, grains, non-U.S. interest rates, softs, indices and lumber and were partially offset by losses in currencies, U.S. interest rates, livestock and metals.

During the Partnership’s six months ended June 30, 2009 the Net Asset Value per Redeemable Unit decreased 1.8% from $2,836.93 to $2,787.39 as compared to an increase of 18.1% during the six months ended June 30, 2008. The Partnership experienced a net trading gain (comprised of net realized gains (losses) on closed positions, change in net unrealized gains (losses) on open positions and investment in Partnerships) before brokerage commissions and related fees for the six months ended June 30, 2009 of $2,733,981. Gains were primarily attributable to the Partnership’s and the Fund’s trading of energy, grains, and livestock and were partially offset by losses in currencies, U.S. and non-U.S. interest rates, metals, softs, lumber and indices. The Partnership experienced a net trading gain before brokerage commissions and related fees for the six months ended June 30, 2008 of $119,437,330. Gains were primarily attributable to the Partnership’s and the Fund’s trading of currencies, energy, grains, U.S. and non-U.S. interest rates, metals, softs, indices and lumber and were partially offset by losses in livestock.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership’s/Funds’ depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership and the Funds expects to increase capital through operations.

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its account during each month at a30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. CGM may continue to maintain the Partnership’s assets in cashand/or place all of the Partnership’s

18

assets in90-day Treasury bills and pay the Partnership 100% of the interest earned on Treasury bills purchased. Interest income for the three and six months ended June 30, 2009 decreased by $1,365,720 and $3,513,178, respectively, as compared to the corresponding periods in 2008. The decrease is due to lower U.S. Treasury bill rates for the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008. The interest earned at the investment in Partnerships level is included in the Partnership’s share of overall net income (loss) allocated from the Funds.

Brokerage commissions are based on the number of trades executed by the Advisors. Brokerage commissions and fees for the three and six months ended June 30, 2009 decreased by $173,050 and $457,419, respectively as compared to the corresponding periods in 2008. The decrease in brokerage commissions and fees is primarily due to an decrease in the number of trades during the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and six months ended June 30, 2009 increased by $511,479 and $1,222,006, respectively as compared to the corresponding periods in 2008. The increase of management fees is due to an increase in net assets during the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Administrative fees for the three and six months ended June 30, 2009 increased by $127,681 and $308,585, respectively as compared to the corresponding periods in 2008. The increase in administrative fees is due to an increase in net assets during the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008.

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2009 resulted in incentive fees of $0 and $3,102,122, respectively. Trading performance for the three and six months ended June 30, 2008 resulted in incentive fees of $14,278,712 and $21,800,953 receptively.

19

Item 3.   Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main lines of business.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performances are not necessarily indicative of their future results.

Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of anyone-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

The following tables indicate the trading Value at Risk associated with the Partnership’s investments and investments in other Partnerships by market category as of June 30, 2009 and the highest, lowest and average value during the three months ended June 30, 2009. All open position trading risk exposures of the Partnership and the Funds have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report onForm 10-K for the year ended December 31, 2008. As of June 30, 2009, the Partnership’s total capital was $684,660,034.

June 30, 2009
(Unaudited)

						Three Months Ended June 30, 2009
	Value at		% of Total			High		Low		Average Value
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		at Risk*
Currencies	$	980,810		0.14	%	$	2,657,132	$	10,800	$	1,177,190
Energy		4,846,643		0.71	%		4,846,643		494,101		1,817,082
Grains		1,006,980		0.15	%		1,119,015		291,600		811,412
Interest Rates U.S.		432,540		0.06	%		1,174,500		105,705		498,300
Interest Rates Non-U.S.		996,226		0.15	%		1,446,663		212,338		770,719
Livestock		64,060		0.01	%		71,280		5,250		33,901
Metals		23,723		0.00	%**		2,084,242		23,717		1,337,998
Softs		349,380		0.05	%		653,340		69,300		360,627
Total	$	8,700,362		1.27	%

*	Average month-end Values at Risk.
**	Due to rounding

20

As of June 30, 2009, AAA Master’s total capitalization was $1,297,294,697. The Partnership owned approximately 21.2% of AAA Master.

June 30, 2009
(Unaudited)

						Three months ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	147,468,039		11.37	%	$	207,597,990	$	4,405,231	$	133,166,548
Total	$	147,468,039		11.37	%

*  Average month-end Values at Risk.

As of June 30, 2009, Willowbridge Master’s total capitalization was $253,633,732. The Partnership owned approximately 54.2% of Willowbridge Master.

June 30, 2009
(Unaudited)

						Three months ended June 30, 2009
	Value at		% of Total			High		Low		Average
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	13,118,128		5.18	%	$	13,147,160	$	5,538,108	$	8,545,585
Energy		12,294,113		4.85	%		12,294,113		3,461,603		7,404,729
Grains		3,284,044		1.29	%		5,919,480		714,826		3,531,527
Interest Rates U.S.		4,041,900		1.59	%		5,954,715		1,232,010		2,404,608
Interest Rates Non-U.S.		3,643,986		1.44	%		7,303,934		2,589,407		4,302,563
Softs		1,021,440		0.40	%		2,249,100		320,040		1,392,978
Total	$	37,403,611		14.75	%

*  Average of month-end Values at Risk.

As of June 30, 2009, Winton Master’s total capitalization was $496,811,774. The Partnership owned approximately 42.4% of Winton Master.

June 30, 2009
(Unaudited)

						Three months ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	8,859,097		1.78	%	$	8,859,097	$	3,479,307	$	5,498,936
Energy		1,328,142		0.27	%		2,627,998		421,858		1,607,888
Grains		1,735,598		0.35	%		1,751,852		1,506,767		1,639,557
Interest Rates U.S.		1,956,170		0.39	%		4,289,355		1,412,777		2,653,818
Interest Rates Non-U.S.		4,517,638		0.91	%		6,588,104		2,841,339		4,285,101
Livestock		235,616		0.05	%		425,655		235,616		381,686
Metals		2,026,388		0.41	%		2,629,647		849,000		2,287,274
Softs		479,423		0.10	%		1,269,508		479,423		950,433
Indices		5,803,898		1.17	%		6,425,774		2,321,055		5,287,835
Total	$	26,941,970		5.43	%

*  Average of month-end Values at Risk.

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Item 4T.   Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the Commission’s rules and forms. Disclosed controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined inRules 13a-15(e) and15d-15(e) under the Exchange Act) as of June 30, 2009 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•     pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•     provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP. and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

•     provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended June 30, 2009 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1.   Legal Proceedings.

The following information supplements and amends our discussion set forth under Part I, Item 3 “Legal Proceedings” in our Annual Report onForm 10-K for the fiscal year ended December 31, 2008, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009. There are no material legal proceedings pending against the Partnership or the General Partner.

Enron-Related Civil Actions

     On May 14, 2009, a settlement agreement was executed among the parties inAcquisition Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al.,andAvenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al.On June 3, 2009, a settlement agreement was executed among the parties inUniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.The three actions, which were consolidated and pending trial in the United States District Court for the Southern District of New York, were brought against Citigroup and certain of its affiliates, including CGM) and JPMorgan Chase and certain of its affiliates, in their capacity as co-agents on certain Enron revolving credit facilities. Pursuant to the settlements, the cases were dismissed with prejudice.

Subprime Mortgage-Related Litigation

     On May 7, 2009,Buckingham v. Citigroup Inc., et al.andChen v. Citigroup Inc., et al.were consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 11, 2009, a putative class actionAsher, et al. v. Citigroup Inc., et al.was filed in the United States District Court for the Southern District of New York alleging violations of the Securities Act of 1933 in connection with plaintiffs’ investments in certain offerings of preferred stock issued by the Citigroup. On May 15, 2009, plaintiffs inIn re Citigroup Inc. Bond Litigation requested thatAsher, et al. v. Citigroup Inc., et al.andPellegrini v. Citigroup Inc., et al.be consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 20, 2009,Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al.was designated as related toIn re Citigroup Inc. Securities Litigation. On June 10 and June 24, 2009, defendants filed motions to dismiss the verified complaint.

Auction Rate Securities-Related Litigation

     Securities Actions.On June 10, 2009, the Judicial Panel on Multidistrict Litigation granted CGM’s motion to transferAmerican Eagle Outfitters, Inc., et al. v. Citigroup Global Markets Inc.from the United States District Court for the Western District of Pennsylvania to the United States District Court for the Southern District of New York, where it will be coordinated withIn re Citigroup Inc. Auction Rate Securities LitigationandFinn v. Smith Barney, et al.On June 17, 2009, the Judicial Panel on Multidistrict Litigation issued an order conditionally transferring three other individual auction rate securities actions pending against CGM in other federal courts to the United States District Court for the Southern District of New York. Plaintiffs in those actions have opposed their transfer.

     On April 1, 2009,Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.was filed in Texas state court asserting violations of state securities law by CGM, BNY Capital Markets, Inc. and Morgan Stanley & Co., Inc. Defendants removed the case to the United States District Court for the Northern District of Texas, and plaintiff has moved to have it remanded to state court. On May 8, 2009, CGM filed a motion to sever the claims against it from the claims against its co-defendants.

     Governmental and Regulatory Actions.Citigroup and certain of its affiliates are subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to auction rate securities. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

23

Falcon and ASTA/MAT-Related Litigation

     Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al.On June 19, 2009, the Delaware Supreme Court denied the appeal of the settlement objectors from the Delaware Chancery Court’s approval of the settlement of this matter and affirmed the order approving the settlement.

     In re MAT Five Securities Litigation.On July 8, 2009, the United States District Court for the Southern District of New York approved the voluntary dismissal of this action.

     ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al.On May 1, 2009, the United States District Court for the Southern District of New York denied plaintiffs’ motion to remand this action to state court. On July 15, 2009, plaintiffs filed an amended complaint.

     Zentner v. Citigroup, et al.(Putative class action concerningIn re MAT Two Securities Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.)On July 8, 2009, the United States District Court for the Southern District of New York dismissed this action, without prejudice, in connection with the dismissal ofIn re MAT Five Securities Litigation.

     Zentner v. Citigroup, et al.(Putative class action concerning Falcon Plus.) On May 19, 2009, the New York Supreme Court issued a letter order, stating that it would approve a settlement of plaintiff’s individual claims. Plaintiff filed a stipulation dismissing this action on July 6, 2009.

Other Matters

     Underwriting Actions.In its capacity as a member of various underwriting syndicates, CGM has been named as a defendant in several subprime-related actions asserted against various issuers of debt and other securities. Most of these actions involve claims asserted on behalf of putative classes of purchasers of securities for alleged violations of Sections 11 and 12(a)(2) of the Securities Act of 1933.

     American Home Mortgage. On July 7, 2009, lead plaintiffs filed a motion inIn re American Home Mortgage Securities Litigationfor preliminary approval of settlements reached with all defendants (including Citigroup and CGM).

     American International Group. On March 20, 2009, four putative class actions were consolidated by the United States District Court for the Southern District of New York under the captionIn re American International Group, Inc. 2008 Securities Litigation. Plaintiffs filed a consolidated amended complaint on May 19, 2009. These actions allege violations of Sections 11, 12, and 15 of the Securities Act of 1933 arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with offerings of American International Group debt securities and common stock, some of which were underwritten by CGM.

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Item 1A.   Risk Factors

There are no material changes from the risk factors set forth under Part  I, Item 1A. “Risk Factors” in our Annual Report onForm 10-K for the fiscal year ended December 31, 2008 and under Part II, Item 1A, “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2009.

Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended June 30, 2009 there were additional sales to Limited Partners of 28,297.5071 Redeemable Units of Limited Partnership totaling $78,779,000. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated there under.

Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options, forwards and swap contracts.

These units were purchased by accredited investors as defined in Regulation D as well as to a small number of persons who are non-accredited investors. The following chart sets forth the purchases of Redeemable Units by the Partnership.

							(d) Maximum Number
					(c) Total Number of		(or Approximate
					Redeemable		Dollar Value) of
			(b) Average		Units Purchased		Redeemable Units
	(a) Total Number of		Price Paid per		as Part of		that May Yet Be
	Redeemable		Redeemable		Publicly Announced		Purchased Under the
Period	Units Purchased*		Unit**		Plans or Programs		Plans or Programs
April 1, 2009 – April 30, 2009		4,271.1521	$	2,738.40		N/A		N/A
May 1, 2009 – May 31, 2009		6,766.3875	$	2,836.69		N/A		N/A
June 1, 2009 – June 30, 2009		3,542.8720	$	2,787.39		N/A		N/A
		14,580.4116	$	2,795.92

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3.   Defaults Upon Senior Securities.  None.

Item 4.   Submission of Matters to a Vote of Security Holders.  None.

Item 5.   Other Information.  

Morgan Stanley/Citigroup Joint Venture

On June 1, 2009, Morgan Stanley and Citigroup entered into a joint venture that combined Morgan Stanley’s Global Wealth Management Group and the Smith Barney division of CGM. The joint venture created Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings owns Morgan Stanley Smith Barney LLC (“MSSB”), a newly registered non-clearing futures commission merchant and a member of the National Futures Association. MSSB acts as an additional selling agent for the Partnership. As of July 31, 2009, Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings, CGM directly owns 49% of MSSB Holdings, and Citigroup, indirectly through its intermediate subsidiaries, wholly owns CGM.

25

Item 6.   Exhibits

The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibit index of the Partnership’s Annual Report onForm 10-K for the period ended December 31, 2008.

Exhibit –10 – Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC.

Exhibit – 31.1 –Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).

Exhibit – 31.2 –Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).

Exhibit – 32.1 – Section 1350 Certification (Certification of President and Director).

Exhibit – 32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director).

26

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CITIGROUP ORION FUTURES FUND L.P.

By:    Citigroup Managed Futures LLC

(General Partner)

By:    /s/  Jerry Pascucci

Jerry Pascucci

President and Director

Date:  August 14, 2009

By:    /s/  Jennifer Magro

Jennifer Magro

Chief Financial Officer and Director

Date:  August 14, 2009

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